root@proxmox:~# cfdisk /dev/sdb

Disk has been changed.

WARNING: If you have created or modified any
DOS 6.x partitions, please see the cfdisk manual
page for additional information.
root@proxmox:~# pvcreate /dev/sdb1
Physical volume "/dev/sdb1" successfully created
root@proxmox:~# vgcreate Storage /dev/sdb1
Volume group "Storage" successfully created
root@proxmox:~#

Luego Añadir desde el Gestor como tipo LVM.

Saludos!